国际货币基金组织支持的计划中的宏观金融政策和脆弱性（英）

IMF Working PaperStrategy, Policy, and Review DepartmentMacro-FinancialPolicies andVulnerabilitiesin IMF-SupportedProgramsPrepared byYazan Al-Karablieh, José Marzluf, Hector Perez-Saiz, Azzam Santosa, and Fabián ValenciaAuthorized for distribution byMartin ČihákMay2025IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.ABSTRACT:We construct a unique dataset by collecting macro-financial commitments data using textualanalysis of the Memorandum of Economic and Financial Policies (MEFPs), a document outlining, inter-alia,policy commitments by member countries, in the context of an IMF-supported program. We combine this datawith information on structural conditionality. Using a staggered difference-in-differences methodology, we showthat IMF-supported programs with macro-financial policy commitments are followed by periods of lower non-performing loans and in some cases lower credit-to-GDP ratios, relative to IMF-supported programs withoutmacro-financial commitments, mostly for the post global financial crisis (GFC) period before the COVID-19pandemic. The NPL-to-loans ratio does not seem to decrease as a result of credit expansion. The results pointto stronger and more abrupt declines in credit-to-GDP followingex-postmacro-financial policies, thoseimplemented after a crisis occurs (e.g., restructuring), and milder and more gradual declines followingex-antepolicies, those implemented before risks materialize (e.g., regulatory requirements). The responses are alsolarger when countries have positive credit gaps at the start of the program than when credit gaps are negative.These results point to the importance of consideringthe country’s position in the credit cycle in program designand in addressing vulnerabilities preemptively to reduce the need for abrupt corrections when risks materialize.Finally, macro-financial policies targeting financial inclusion tend to increase credit-to-GDP ratios in low credit-G01, G20, G21, G23, G28, O16Textual analysis; non-performing loans; credit growth; IMF-supportedprograms; macro-financial policiesYAl-Karablieh@imf.org,JMarzluf@imf.org,HPerez-Saiz@imf.org,Azzam.Santosa@ugent.be, andFValencia@imf.org.The authors would like to thankTobias Adrian,Maria SoledadMartinez Peria,Martin Čihák, Eugenio Cerutti,Rishi Goyal,Alexander Culiuc,Silvia Iorgova,Antonio Garcia Pascual,Giulio Lisi,Marialuz Moreno Badia,Naomi Griffin,Jay Sanat Surti,AmrHosny,Mohamed Diaby,R. Bouis,T. Xu,and many other colleagues in IMF departments for very helpful comments. *to-GDP program countries.JEL Classification Numbers:Keywords:Author’s E-Mail Address:* Contents1.Introduction............................................................................................................................................32.Data.........................................................................................................................................................52.1.IMF’s Monitoring of Fund Arrangements (MONA).....................................................................52.2.MEFP’s Textual Analysis Data...................................................................................................52.3.Non-Performing Loans, Credit, and Macroeconomic Indicators................................................62.4.IMF’s Integrated Macroprudential Policy (iMaPP) Database.....................................................63.Descriptive Trends................................................................................................................................73.1Stylized Facts.............................................................................................................................74.Empirical Strategy...............................................................................................................................104.1.Staggered Difference-in-Differences Design...........................................................................104.2.Treatment and Control Groups................................................................................................115.Results..................................................................................................................................................125.1.Do Macro-Financial Commitments Translate into Policies?....................................................125.2.Full Sample Results.................................................................................................................135.2.1NPLs and Credit-to-GDP Following MEFP Commitments andSB Conditionality....................135.2.2.Case Studies: Evolution of NPLs and Credit-to-GDP in IMF-Supported Programs.................185.2.3.Policies Targeting NPLs and Credit-to-GDP....................